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Search Results for Collection: Business Research Collection
Now showing items 1-8 of 8
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(Springer Netherlands, 2006-05)This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence ...
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(Taylor & Francis, 2005-08)Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...
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(American Real Estate Society, 2007)Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in ...
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(Wiley, 2006)Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven ...
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(Risk Magazine Limited, 2006-06)Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate ...
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(Blackwell, 2000-04)This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects ...
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(Wiley, 2008)One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate ...
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(Wiley, 2004-02)Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high-frequency UK futures ...
Now showing items 1-8 of 8